Quadratic variation for a class of L lo\(g^ +\,L\)-bounded two-parameter martingales (Q1094751): Difference between revisions
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Revision as of 10:34, 15 February 2024
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English | Quadratic variation for a class of L lo\(g^ +\,L\)-bounded two-parameter martingales |
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Quadratic variation for a class of L lo\(g^ +\,L\)-bounded two-parameter martingales (English)
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1987
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The authors prove that every L log\({}^+ L\)-bounded (not necessarily continuous) two-parameter martingale possesses a quadratic variation in \(L^ 0(\Omega,{\mathcal F},P)\) under the assumption that the one-parameter marginal filtrations \({\mathcal F}^ 1\) and \({\mathcal F}^ 2\) are quasi-left continuous. The technique used is a two-parameter Burkholder-type inequality for martingales indexed by \({\mathbb{N}}^ 2\) and truncation methods that reduce the L log\({}^+ L\)-bounded case to the bounded case. The authors also prove that the bounded martingale that has orthogonal increments or path- independent variation possesses quadratic variation (without hypothesis of quasi-left continuity of \({\mathcal F}^ 1\) and \({\mathcal F}^ 2)\).
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two-parameter martingale
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quadratic variation
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two-parameter Burkholder- type inequality
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quasi-left continuity
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